Modeling & development of Counterparty Credit Risk (CCR) models (IMM re Basel III, EAD, PFE, XvA) to support global derivatives trading business. Broad, generic knowledge of CCR (as a subject) is required along with specific experience in calibration, back-testing and simulation methodology for a wide range of derivative instruments – interest rates (IR), equity (EQ), commodities (COMM), foreign exchange (FX), etc. This is a full-time permanent role offering career growth for those taking a long-term view in their careers. Contracts will not be considered. Location – Toronto.
- You must be legally entitled to work in Canada prior to submitting an application to this job posting.
- Work from home (G.T.A. – Greater Toronto Area) due to current Covid-19 pandemic until staff can physically return to the office in downtown Toronto’s financial district.
- Out-of-province candidates will not be considered unless they are in the midst of relocating to the G.T.A.
- Ph.D. in a Quantitative discipline – Financial Engineering, Financial Mathematics, Physics, Statistics, or Computer Science. Master level will also be considered (MQF, MMF, MFE).
- Your background includes previous, demonstrated experience in Counterparty Credit Risk (CCR) modeling.
- You possess highly developed quantitative skills.
- Expertise in object-oriented (OO) programming, preferably core Java or short transition thereto.
- You bring 6-7 years’ relevant experience.